کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077271 | 1374124 | 2008 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Integrated insurance risk models with exponential Lévy investment
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Integrated insurance risk models with exponential Lévy investment Integrated insurance risk models with exponential Lévy investment](/preview/png/5077271.png)
چکیده انگلیسی
We consider an insurance risk model for the cashflow of an insurance company, which invests its reserve into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Lévy process. We derive the integrated risk process and the corresponding discounted net loss process. We calculate certain quantities as characteristic functions and moments. We also show under weak conditions stationarity of the discounted net loss process and derive the left and right tail behavior of the model. Our results show that the model carries a high risk, which may originate either from large insurance claims or from the risky investment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 560-577
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 560-577
نویسندگان
Claudia Klüppelberg, Radostina Kostadinova,